Controlling the Size of Autocorrelation Robust Tests

Autocorrelation robust tests are notorious for suffering from size distortions and power problems. We investigate under which conditions the size of autocorrelation robust tests can be controlled by an appropriate choice of critical value.

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Year of publication:	2016-11
Authors:	Pötscher, Benedikt M. ; Preinerstorfer, David

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Pötscher, Benedikt M. and Preinerstorfer, David (2016): Controlling the Size of Autocorrelation Robust Tests.
Classification:	C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015261500